Trend-Following Backtester · Guide · backtest 한국어
equity · IT
BFF Bank SpA backtest
10 trend-following strategies were compared on the full daily history of BFF Bank SpA. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.0%, MDD -9.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.7%, drawdown -88.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 10.1%, MDD -15.7%, Sharpe 0.95, 17% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 13.8%p higher than buy and hold, while drawdown improves by 73.1%p (CAGR 5.0%, MDD -9.5%, exposure 6%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=25, k=2.9 |
10.1% | -15.7% | 0.95 | 0.64 | 2.4x | 20 | 17% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=24, mult=3.9 |
5.0% | -9.5% | 0.75 | 0.52 | 1.6x | 4 | 6% |
| Donchian 채널 돌파 entryN=85, exitN=16 |
8.4% | -18.1% | 0.72 | 0.46 | 2.1x | 20 | 22% |
| ADX / DI 방향성 period=18, threshold=31 |
5.7% | -13.4% | 0.70 | 0.42 | 1.7x | 16 | 10% |
| Supertrend period=10, mult=4.3 |
10.0% | -34.5% | 0.60 | 0.29 | 2.4x | 27 | 47% |
| SMA 크로스오버 fast=51, slow=104 |
5.3% | -47.9% | 0.35 | 0.11 | 1.6x | 23 | 47% |
| ROC 모멘텀 n=78, threshold=0.1 |
4.0% | -31.8% | 0.34 | 0.13 | 1.4x | 75 | 29% |
| Parabolic SAR step=0.01, maxStep=0.2 |
4.6% | -37.4% | 0.31 | 0.12 | 1.5x | 110 | 52% |
| EMA 크로스오버 fast=47, slow=76 |
3.8% | -37.4% | 0.28 | 0.10 | 1.4x | 18 | 47% |
| MACD fast=16, slow=45, signal=24 |
1.8% | -62.1% | 0.25 | 0.03 | 1.2x | 82 | 51% |
| Buy and hold | -3.7% | -88.9% | 0.16 | -0.04 | 0.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 25-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 25-day middle average